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Coogle, John J. "Applying Hierarchical Tag-Topic Models to Stack Overflow." VCU Scholars Compass, 2019. https://scholarscompass.vcu.edu/etd/5713.
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Stack Overflow is a question and answer site for programming questions. It has become one of the most widely used resources for programmers, with many programmers accessing the site multiple times per day. A threat to the continued success of Stack Overflow is the ability to efficiently search the site. Existing research suggests that the inability to find certain questions results inunanswered questions, long delays in answering questions, or questions which are unable to be found by future visitors to the site. Further research suggests that questions with poor tag quality are particularly vulnerable to these issues.In this thesis, two approaches are considered for improving tag quality and search efficiency: automatic tag recommendations for question authors, and organizing the existing set of tags in a hierarchy from general to specific for Stack Overflow readers. A hierarchical organization is proposed for it's ability to assist exploratory searches of the site.L2H, a hierarchical tag topic model, is a particularly interesting solution to these approaches because it can address both approaches with the same model. L2H is evaluated in detail on several proposed evaluation criteria to gauge it's fitness for addressing these search challenges on Stack Overflow.
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Øvstegård, Øyvind Aunan. "Global Optimization and Inital Models In Seismic Pre-Stack Inversion." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for petroleumsteknologi og anvendt geofysikk, 2012. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-19300.
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Abstract Pre stack inversion of seismic data consists of numerous difficulties. Two of the problems of greatest concern are the problems of non-uniqueness and non-linearity of the inversion. There may exist several solutions to any given inversion problem, and to be able to choose the correct solution we are dependent on a priori information. This thesis will explain how a priori information can be implemented with the seismic data using Bayesian modeling and fractal based initial methods in order to obtain the most likely solution for the inversion. This thesis will also explain the theory behind global optimization routines, such as the random walk Monte Carlo, the Metropolis algorithm and Simulated Annealing. A Simulated Annealing routine has been made, and this is used to solve optimization problems. The routine is analyzed for its capability of finding global optimums and the requirements for its success. It is then implemented to simulate the inversion of a seismic dataset. The solutions of the inverted data is then analyzed and compared to the actual solution. This is done for an uncontaminated dataset, and for a dataset containing noise. The work has shown that Simulated Annealing can be a good method for finding a global optimum, but that the global optimization routine is unable to produce good results without good constraints and a good initial model, due to the problem of non-uniqueness.
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Pommellet, Adrien. "On model-checking pushdown systems models." Thesis, Sorbonne Paris Cité, 2018. http://www.theses.fr/2018USPCC207/document.
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Cette thèse introduit différentes méthodes de vérification (ou model-checking) sur des modèles de systèmes à pile. En effet, les systèmes à pile (pushdown systems) modélisent naturellement les programmes séquentiels grâce à une pile infinie qui peut simuler la pile d'appel du logiciel. La première partie de cette thèse se concentre sur la vérification sur des systèmes à pile de la logique HyperLTL, qui enrichit la logique temporelle LTL de quantificateurs universels et existentiels sur des variables de chemin. Il a été prouvé que le problème de la vérification de la logique HyperLTL sur des systèmes d'états finis est décidable ; nous montrons que ce problème est en revanche indécidable pour les systèmes à pile ainsi que pour la sous-classe des systèmes à pile visibles (visibly pushdown systems). Nous introduisons donc des algorithmes d'approximation de ce problème, que nous appliquons ensuite à la vérification de politiques de sécurité. Dans la seconde partie de cette thèse, dans la mesure où la représentation de la pile d'appel par les systèmes à pile est approximative, nous introduisons les systèmes à surpile (pushdown systems with an upper stack) ; dans ce modèle, les symboles retirés de la pile d'appel persistent dans la zone mémoire au dessus du pointeur de pile, et peuvent être plus tard écrasés par des appels sur la pile. Nous montrons que les ensembles de successeurs post* et de prédécesseurs pre* d'un ensemble régulier de configurations ne sont pas réguliers pour ce modèle, mais que post* est toutefois contextuel (context-sensitive), et que l'on peut ainsi décider de l'accessibilité d'une configuration. Nous introduisons donc des algorithmes de sur-approximation de post* et de sous-approximation de pre*, que nous appliquons à la détection de débordements de pile et de manipulations nuisibles du pointeur de pile. Enfin, dans le but d'analyser des programmes avec plusieurs fils d'exécution, nous introduisons le modèle des réseaux à piles dynamiques synchronisés (synchronized dynamic pushdown networks), que l'on peut voir comme un réseau de systèmes à pile capables d'effectuer des changements d'états synchronisés, de créer de nouveaux systèmes à piles, et d'effectuer des actions internes sur leur pile. Le problème de l'accessibilité étant naturellement indécidable pour un tel modèle, nous calculons une abstraction des chemins d'exécutions entre deux ensembles réguliers de configurations. Nous appliquons ensuite cette méthode à un processus itératif de raffinement des abstractionsIn this thesis, we propose different model-checking techniques for pushdown system models. Pushdown systems (PDSs) are indeed known to be a natural model for sequential programs, as they feature an unbounded stack that can simulate the assembly stack of an actual program. Our first contribution consists in model-checking the logic HyperLTL that adds existential and universal quantifiers on path variables to LTL against pushdown systems (PDSs). The model-checking problem of HyperLTL has been shown to be decidable for finite state systems. We prove that this result does not hold for pushdown systems nor for the subclass of visibly pushdown systems. Therefore, we introduce approximation algorithms for the model-checking problem, and show how these can be used to check security policies. In the second part of this thesis, as pushdown systems can fail to accurately represent the way an assembly stack actually operates, we introduce pushdown systems with an upper stack (UPDSs), a model where symbols popped from the stack are not destroyed but instead remain just above its top, and may be overwritten by later push rules. We prove that the sets of successors post* and predecessors pre* of a regular set of configurations of such a system are not always regular, but that post* is context-sensitive, hence, we can decide whether a single configuration is forward reachable or not. We then present methods to overapproximate post* and under-approximate pre*. Finally, we show how these approximations can be used to detect stack overflows and stack pointer manipulations with malicious intent. Finally, in order to analyse multi-threaded programs, we introduce in this thesis a model called synchronized dynamic pushdown networks (SDPNs) that can be seen as a network of pushdown processes executing synchronized transitions, spawning new pushdown processes, and performing internal pushdown actions. The reachability problem for this model is obviously undecidable. Therefore, we compute an abstraction of the execution paths between two regular sets of configurations. We then apply this abstraction framework to a iterative abstraction refinement scheme
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Nawaz, Usman Shah. "Acoustic and Elastic Impedance Models of Gullfaks Field by Post-Stack Seismic Inversion." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for petroleumsteknologi og anvendt geofysikk, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-23738.
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Gullfaks is one of the major hydrocarbon producing fields in the Norwegian continental shelf. This field has a quite complex geology which makes routine seismic interpretation a challenging task for understanding the reservoir properties such as lithology and fluid content. Post-stack seismic inversion has proven to be a reliable tool for detailed understanding of the reservoir especially for lithological identification. In this study, post-stack seismic inversion method was used on acoustic and elastic impedance models to build an inverted impedance model. For this purpose, three horizons were interpreted from the reservoir zone to determine geological inputs for the model. Check shot survey was used to build synthetic traces which were then tied to the real seismic data. Two initial impedance models were then build i.e. acoustic initial impedance model and elastic initial model at zero degree angles. Four different inversion algorithms were applied to invert the initial models and their results were compared. The inverted models showed high vertical resolution with high signal to noise ratio, giving an excellent visualization of the reservoir zone.
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Marra, Dario. "Development of solid oxide fuel cell stack models for monitoring, diagnosis and control applications." Doctoral thesis, Universita degli studi di Salerno, 2013. http://hdl.handle.net/10556/1014.
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2011 - 2012In the present thesis different SOFC stack models have been presented. The results shown were obtained in the general framework of the GENIUS project (GEneric diagNosis Instrument for SOFC systems), funded by the European Union (grant agreement n° 245128). The objective of the project is to develop “generic” diagnostic tools and methodologies for SOFC systems. The “generic” term refers to the flexibility of diagnosis tools to be adapted to different SOFC systems. In order to achieve the target of the project and to develop stack models suitable for monitoring, control and diagnosis applications for SOFC systems, different modeling approaches have been proposed. Particular attention was given to their implementability into computational tools for on-board use. In this thesis one-dimensional (1-D), grey-box and blackbox stack models, both stationary and dynamic were developed. The models were validated with experimental data provided by European partners in the frame of the GENIUS project. A 1-D stationary model of a planar SOFC in co-flow and counter-flow configurations was presented. The model was developed starting from a 1- D model proposed by the University of Salerno for co-flow configuration (Sorrentino, 2006). The model was cross-validated with similar models developed by the University of Genoa and by the institute VTT. The crossvalidation results underlined the suitability of the 1-D model developed. A possible application of the 1-D model for the estimation of stack degradation was presented. The results confirmed the possibility to implement such a model for fault detection. A lumped gray-box model for the simulation of TOPSOE stack thermal dynamics was developed for the SOFC stack of TOPSOE, whose experimental data were made available in the frame of the GENIUS project. Particular attention was given to the problem of heat flows between stack and surrounding and a dedicated model was proposed. The black-box approach followed for the implementation of the heat flows and its reliability and accuracy was shown to be satisfactory for the purpose of its applications. The procedure adopted turned out to be fast and applicable to other SOFC stacks with different geometries and materials. The good results obtained and the limited calculation time make this model suitable for implementation in diagnostic tools. Another field of application is that of virtual sensors for stack temperature control. Black-box models for SOFC stack were also developed. In particular, a stationary Neural Network for the simulation of the HEXIS stack voltage was developed. The analyzed system was a 5-cells stack operated up to 10 thousand hours at constant load. The neural network exhibited very good prediction accuracy, even for systems with different technology from the one used for training the model. Beyond showing excellent prediction capabilities, the NN ensured high accuracy in well reproducing evolution of degradation in SOFC stacks, especially thanks to the inclusion of time among model inputs. Moreover, a Recurrent Neural Network for dynamic simulation of TOPSOE stack voltage and a similar one for a short stack built by HTc and tested by VTT were developed. The stacks analyzed were: a planar co-flow SOFC stack (TOPSOE) and a planar counter-flow SOFC stack (VTT-HTc). All models developed in this thesis have shown high accuracy and computation times that allow them to be implemented into diagnostic and control tool both for off-line (1-D model and grey-box) and for on-line (NN and RNNs) applications. It is important noting that the models were developed with reference to stacks produced by different companies. This allowed the evaluation of different SOFC technologies, thus obtaining useful information in the models development. The information underlined the critical aspects of these systems with regard to the measurements and control of some system variables, giving indications for the stack models development. The proposed modeling approaches are good candidates to address emerging needs in fuel cell development and on-field deployment, such as the opportunity of developing versatile model-based tools capable to be generic enough for real-time control and diagnosis of different fuel cell systems typologies, technologies and power scales. [edited by author]
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Shi, Li, and 时莉. "Long-term commodity procurement risk management using futures contracts: a dynamic stack-and-rollapproach." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B49858749.
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The procurement of commodity materials for production is an important issue in supply chain management. Effective procurement should consider both uncertain customer demand and fluctuating commodity price which, when act together, give rise to the procurement risk. To protect the bottom line, a manufacturer has to plan its procurement activities with special attention given to such procurement risk. Existing research has studied the use of exchange market-traded commodities in mitigating procurement risk. This study addresses the case of a manufacturer with long-term procurement commitments who wishes to hedge against the risk exposure by using long-dated futures contracts. In the commodities markets, however, long-dated futures are often illiquid or even unavailable, thus making the hedge ineffective. Alternatively, in a stack-and-roll hedge, the hedging positions are rolled forward in actively traded short-dated futures contracts of equal maturity until the procurement is executed. This in effect replicates the long-term futures contract in performing a hedge. This study therefore aims at developing a dynamic stack-and-roll approach that can effectively manage the long maturity procurement risk.
The proposed dynamic stack-and-roll approach is inherently a discrete-time hedging strategy that divides the procurement planning horizon into multiple decision stages. The nearby futures are adopted as the short-dated futures as they are typically liquid. The hedging positions are adjusted periodically in response to the commodity price behaviour and updated information about the forward customer demand. For a manufacturer who wishes to mitigate the procurement risk as well as maximise the terminal revenue after the procurement, the mean-variance objective function is employed to model the manufacturer’s risk aversion behaviour. Then, a dynamic program formulation of the approach is presented for determining a closed-form expression of the optimal hedging positions. Notice that the hedging policy is a time-consistent mean-variance policy in discrete-time, in contrast to the existing discrete hedging approaches that employ minimum-variance policies.
In this study, the commodity prices are modelled by a fractal nonlinear regression process that employs a recurrent wavelet neural network as the nonlinear function. The purpose of this arrangement is to incorporate the fractal properties discovered in commodity prices series. In the wavelet transform domain, fractal self-similarity and self-affinity information of the price series over a certain time scale can be extracted. The Extended Kalman Filter (EKF) algorithm is applied to train the neural network for its lower training error comparing with classical gradient descent algorithms. Monthly returns and volatility of commodity prices are estimated by daily returns data in order to increase the estimation accuracy and facilitate effective hedging. The demand information is updated stage by stage using Bayesian inference. The updating process are defined and adapted to a filtration, which can be regarded as the information received at the beginning of each decision stage. Numerical experiments are carried out to evaluate the performance of the proposed stack-and-roll approach. The results show that the proposed approach robustly outperforms other hedging strategies that employ minimum-variance or naïve policies, and effectively mitigate the procurement risk.published_or_final_version
Industrial and Manufacturing Systems Engineering
Doctoral
Doctor of Philosophy
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Rosich, Oliva Albert. "Sensor placement for fault diagnosis based on structural models: application to a fuel cell stak system." Doctoral thesis, Universitat Politècnica de Catalunya, 2011. http://hdl.handle.net/10803/53635.
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The present work aims to increase the diagnosis systems capabilities by choosing the location of sensors in the process. Therefore, appropriate sensor location will lead to better diagnosis performance and implementation easiness. The work is based on structural models ands some simplifications are considered in order to only focus on the sensor placement analysis. Several approaches are studied to solve the sensor placement problem. All of them find the optimal sensor configuration.
The sensor placement techniques are applied to a fuel cell stack system. The model used to describe the behaviour of this system consists of non-linear equations. Furthermore, there are 30 candidate sensors to improve the diagnosis specifications. The results obtained from this case study are used to strength the applicability of the proposed approaches.El present treball té per objectiu incrementar les prestacions dels diagnosticadors mitjançant la localització de sensors en el procés. D'aquesta manera, instal·lant els sensors apropiats s'obtenen millors diagnosticador i més facilitats d'implementació. El treball està basat en models estructurals i contempla una sèrie de simplificacions per tal de entrar-se només en la problemàtica de la localització de sensors. S'utilitzen diversos enfocs per tal de resoldre la localització de sensors, tot ells tenen com objectiu trobar la configuració òptima de sensors. Les tècniques de localització de sensors són aplicades a un sistema basat en una pila de combustible. El model d'aquest sistema està format per equacions no lineals. A més, hi ha la possibilitat d'instal·lar fins a 30 sensors per tal de millorar la diagnosis del sistema. Degut a aquestes característiques del sistema i del model, els resultats obtinguts mitjançant aquest cas d'estudi reafirmen l'aplicabilitat dels mètodes proposats.
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Pachentseva, Marina, and Anna Bronskaya. "On Stock Index Volatility With Respect to Capitalization." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1189.
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Condfidence in the future is a signicant factor for business development. However frequently, accurate and specific purposes are spread over the market environment influence.Thus,it is necessary to make an appropriate consideration of instability, which is peculiar to the dynamic development. Volatility, variance and standard deviation are used to
characterize the deviation of the investigated quantity from mean value.
Volatility is one of the main instruments to measure the risk of the asset.
The increasing availability of financial market data has enlarged volatility research potential but has also encouraged research into longer horizon volatility forecasts.
In this paper we investigate stock index volatility with respect to capitalization with help of GARCH-modelling.
There are chosen three indexes of OMX Nordic Exchange for our research. The Nordic list segment indexes comprising Nordic Large Cap,
Mid Cap and Small Cap are based on the three market capitalization groups.
We implement GARCH-modeling for considering indexes and compare our results in order to conclude which ones of the indexes is more volatile.
The OMX Nordic list indexis quiet new(2002)and reorganized as late as October 2006. The current value is now about 300 and no options do exist. In current work we are also interested in estimation of the Heston
model(SVmodel), which is popular in financial world and can be used in option pricing in the future.
The results of our investigations show that Large Cap Index is more volatile then Middle and Small Cap Indexes.
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Němec, Pavel. "Finanční analýza STOCK Plzeň a.s." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-8797.
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The subject is financial analysis of STOCK Plzeň a.s. The aim of the thesis is propose the analysisi of ekonomical and financial situation of the company. The analysis refers to stage ang progress of the company between the years 2002 - 2006. Especially due to accounting reports.
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Kowalczyk, Piotr Jozef. "Validation and application of advanced soil constitutive models in numerical modelling of soil and soil-structure interaction under seismic loading." Doctoral thesis, Università degli studi di Trento, 2020. http://hdl.handle.net/11572/275675.
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This thesis presents validation and application of advanced soil constitutive models in cases of seismic loading conditions.
Firstly, results of three advanced soil constitutive models are compared with examples of shear stack experimental data for free field response in dry sand for shear and compression wave propagation. Higher harmonic generation in acceleration records, observed in experimental works, is shown to be possibly the result of soil nonlinearity and fast elastic unloading waves. This finding is shown to have high importance on structural response, real earthquake records and reliability of conventionally employed numerical tools. Finally, short study of free field response in saturated soil reveals similar findings on higher harmonic generation.
Secondly, two advanced soil constitutive models are used, and their performance is assessed based on examples of experimental data on piles in dry sand in order to validate the ability of the constitutive models to simulate seismic soil-structure interaction. The validation includes various experimental configurations and input motions. The discussion on the results focuses on constitutive and numerical modelling aspects. Some improvements in the formulations of the models are suggested based on the detailed investigation.
Finally, the application of one of the advanced soil constitutive models is shown in regard to temporary natural frequency wandering observed in structures subjected to earthquakes. Results show that pore pressure generated during seismic events causes changes in soil stiffness, thus affecting the natural frequency of the structure during and just after the seismic event. Parametric studies present how soil permeability, soil density, input motion or a type of structure may affect the structural natural frequency and time for its return to the initial value. In addition, a time history with an aftershock is analysed to investigate the difference in structural response during the earthquake and the aftershock.
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Bagdonas, Aivaras. "AKCIJŲ PORTFELIO FORMAVIMO MODELIŲ TYRIMAI." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2006. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2006~D_20060608_222443-47413.
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Final work of Master Studies, 54 pages, 20 figures, 12 tables, 41 references, 6 appendix, lietuvių kalba. KEY WORDS – securities, stock, portfolio, models. Research object – stock portfolio formatting models. Research aim - to analyze stock portfolio formatting models and their adaptability under conditions of Lithuania. Objectives: • to research theoretical aspects of securities portfolio formatting; • to explore modern stock portfolio formatting models; • to construct stock portfolio formatting models under conditions of Lithuania. Research methods - statistical, monographic, deduction and induction.
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Sun, Jia. "Models of executive stock options." Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/49189/.
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This thesis presents novel utility indifference models to solve versions of problems faced by the executives compensated with periodical option grants in practice. Chapter 2 provides a comprehensive analysis of a single executive stock option (ESO). A closed-form solution to the exercise threshold instantaneously before maturity is obtained, and the leading driver of the slope of the exercise thresholds close to and far from maturity is identified. This Chapter forms the foundation for further investigation of more complex problems in later Chapters. Chapter 3 investigates the optimal exercise of a portfolio of ESOs with different strikes and maturities. This problem is particularly faced by the executives who receive option grants annually and over time cumulate a portfolio of options with different characteristics. We show that the optimal exercise order can switch endogenously, and the timing of this switch can change the exercise thresholds for a particular option and/or all options relative to a stand-alone basis, depending on their strikes and maturities. This makes the value and cost of the option portfolio lower than the sum of the values and costs for each individual option on a standalone basis. Therefore, one of the implications from Chapter 3 is that it can produce a more accurate method for valuing and accounting for a portfolio of ESOs. Furthermore, the empirical literature suggests that the Executive Stock Option Plans (ESOPs) are often into multi-year plans, and thus Chapter 4 considers the problem for an executive who anticipates receiving a new option grant in the future and has taken it into account as part of his portfolio. Since the future options are granted at-the-money, the strike price is stochastic ex ante. We show that the future option with a stochastic strike price can significantly affect the exercise strategy of the executive’s existing options, and thus change the cost of the existing options and the overall portfolio. Therefore, Chapter 4 can provide a method to recognise the cost of multi-year ESOPs. Lastly, another problem arising from granting ESOs periodically is that the executive can purposely time his new option grant in order to maximise the value of his option compensation. Since this issue has been well suggested by the empirical literature, Chapter 5 investigates this problem theoretically in the utility framework. Our model can identify the maximum benefit for the executive of timing his option awards and the cost of this to the firm. Our results are quite consistent with the empirical findings.
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Emeny, Matthew. "The book-to-market effect and the behaviour of stock returns in the Australian equity market." Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.
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"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-reaction. An alternative explanation IS offered, relying on the dynamic behavior of firms and the process by which investors value the stocks of these firms.
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Hill, Roger M. "Lost sales inventory models." Thesis, University of Exeter, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302560.
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Kappes, Sylvio Antonio. "Stock-flow consistent models : evolution, methodological issues, and fiscal policy applications." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2017. http://hdl.handle.net/10183/168627.
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A presente dissertação tem por objetivo discutir diferentes aspectos de um método de modelagem econômica conhecido por Modelos Stock-Flow Consistent (SFC). Essa classe de modelos tem como principais características a presença de matrizes que representam os balanços patrimoniais dos setores modelados, bem como os fluxos de transações e de fundos financeiros. A primeira etapa do trabalho consiste em analisar as origens dos modelos SFC, apresentando os trabalhos que precederam as primeiras formulações. Em seguida, é feito um survey completo da literatura SFC corrente. Essas duas etapas são realizadas através de uma revisão bibliográfica de artigos, working papers, teses e dissertações. A terceira etapa do trabalho consiste em discutir aspectos metodológicos da modelagem SFC, em especial a modelagem de equações comportamentais de expectativas. Por fim, um modelo SFC é elaborado com o objetivo de analisar o comportamento de uma economia sob quatro regimes fiscais diferentes: (i) balanço equilibrado; (ii) meta de gastos do governo como proporção do PIB; (iii) meta de déficit do governo como proporção do PIB; (iv) meta de dívida pública como proporção do PIB. O comportamento em estado estacionário desses regimes é analisado, bem como sua resiliência a choques. Entre as conclusões, percebeu-se que o segundo regime apresenta a maior taxa de crescimento no steady state, além de ser mais resiliente a choques negativos.The general goal of this dissertation is to discuss different dimensions of a class of Post-Keynesian models known as Stock-Flow Consistent Models. The main features of these models are: (i) the presence of balance sheets matrices of the sectors to be modeled, guaranteeing the consistency in the economic stocks; (ii) the flow of funds matrix, that records the real and financial transactions of the economy. The first step of the work is to analyze the origins of the SFC models, presenting the works that preceded the first elaborations. Next to it, the current SFC literature is surveyed. These two steps are accomplished by means of a survey of the literature in academic journals, working papers, dissertations and thesis. The third step of the work is a discussion of methodological issues such as the role of expectations in the behavioral functions for consumption. Finally, the fourth step consists of elaborating a SFC model in order to analyze four fiscal policy regimes: (i) balanced budget, (ii) a target for government’s expenditures , (iii) a target for government deficit, and (iv) a target for government debt. The steady state behavior of each regime is analyzed, as well as its resilience to adverse shocks. The second regime is the one with the higher steady state growth rate and also is the more resilient to negative shocks.
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Li, Na. "Stochastic Models of Stock Market Dynamics." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-144307.
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Heitmann, Bo-Lennart. "Full-stack musik : En studie om back-end, front-end och full-stack terminologi inom låtskapande och musikproduktion." Thesis, Kungl. Musikhögskolan, Institutionen för musik- och medieproduktion, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kmh:diva-4058.
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Syftet med det här examensarbetet är att presentera process och erfarenheter från mitt konstnärliga musikproduktionsprojekt som genomförts under mitt sista år av min masterutbildning. Genomförandet har bestått av att skapa ett svenskt popmusikalbum där låtar har skapats enskilt, genom samarbeten och tre verk har blivit slutförda och distribuerats på streamingtjänster så som Spotify och YouTube. Vidare är syfte att presentera en modell med hjälp av mitt konstnärliga arbete där det prövas potentiella omformuleringar för yrkesroller inom låtskapande. Dessa termer ska i sin tur underlätta rolldefinition inom låtskapande och även ge utrymme för att förtydliga den ideella rätten som medverkande i ett konstnärligt verk har. Med utgångspunkt till att musikproducenten ofta hamnar i en multikompetent position så har jag valt att låna begrepp från systemutvecklarens yrkesvärld för att skapa modellen. Begreppen jag valt att låna består av back-end, front-end och full-stack och avsikten är att bryta upp paraplybegrepp såsom ”låtskrivare, producent och performer” och även kunna bidra till tydligare rekryteringsprocesser för samarbeten inom låtskapande.The purpose of this master’s thesis is to present the process and experiences of my music production project that was carried out during the last year of my masters’ studies. The project’s creative content is a Swedish pop album which created through collaborative and independent work. Three single releases and one music video have been released and distributed through the course of the project on streaming platforms such as Spotify and YouTube. In addition to the making of the album I have chosen to create a model to use as a frame for potential recruitment instances of creative collaborations, improve role definition and develop a more accurate method to credit rights holder’s moral credentials as a contributor to an artistic work. The root cause of this model is that a music producer often finds themselves as a multicompetent keyperson in creative collaborations where the lines between different professions overlap. The model is inspired of the software developers job terminology and aims to break up umbrella concept roles such as “songwriter, producer and performer” to facilitate the recruiting process of creative collaborations within the crafting of songs. The terminologies inspired out of the software developer’s professions are back-end, front-end and full-stack.
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Skolpadungket, Prisadarng. "Portfolio management using computational intelligence approaches : forecasting and optimising the stock returns and stock volatilities with fuzzy logic, neural network and evolutionary algorithms." Thesis, University of Bradford, 2013. http://hdl.handle.net/10454/6306.
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Portfolio optimisation has a number of constraints resulting from some practical matters and regulations. The closed-form mathematical solution of portfolio optimisation problems usually cannot include these constraints. Exhaustive search to reach the exact solution can take prohibitive amount of computational time. Portfolio optimisation models are also usually impaired by the estimation error problem caused by lack of ability to predict the future accurately. A number of Multi-Objective Genetic Algorithms are proposed to solve the problem with two objectives subject to cardinality constraints, floor constraints and round-lot constraints. Fuzzy logic is incorporated into the Vector Evaluated Genetic Algorithm (VEGA) to but solutions tend to cluster around a few points. Strength Pareto Evolutionary Algorithm 2 (SPEA2) gives solutions which are evenly distributed portfolio along the effective front while MOGA is more time efficient. An Evolutionary Artificial Neural Network (EANN) is proposed. It automatically evolves the ANN's initial values and structures hidden nodes and layers. The EANN gives a better performance in stock return forecasts in comparison with those of Ordinary Least Square Estimation and of Back Propagation and Elman Recurrent ANNs. Adaptation algorithms for selecting a pair of forecasting models, which are based on fuzzy logic-like rules, are proposed to select best models given an economic scenario. Their predictive performances are better than those of the comparing forecasting models. MOGA and SPEA2 are modified to include a third objective to handle model risk and are evaluated and tested for their performances. The result shows that they perform better than those without the third objective.
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Arana, Amez Ronald Victor. "Propuesta de mejora del proceso de planeamiento y control de la producción de una empresa metalúrgica." Master's thesis, Universidad Peruana de Ciencias Aplicadas (UPC), 2019. http://hdl.handle.net/10757/625985.
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El presente trabajo plantea una propuesta de mejora del proceso de planeamiento y control de la producción en una empresa metalúrgica fabricante de aleaciones del cobre, zinc y plomo, mediante la implementación del modelo de programación lineal, que permitirá reducir los niveles de stock de productos. Asimismo, formula la mejora en la exactitud del registro del inventario de los materiales, mediante la aplicación del inventario físico mensual y el conteo físico aleatorio permanente.
Se detectó el problema de incoherencia entre stock físico y teórico de los materiales, cuyas causas principales son el software con limitaciones, desorden y la no buena señalización de la ubicación de los materiales en el almacén, la frecuencia del inventario físico y carencia de conteo físico aleatorio. Se detectó un nivel elevado de merma en el proceso productivo, por uso de chatarra contaminada y de utillajes desgastados. El elevado nivel de stock de productos, se debe al método de programación vigente.
Se prevé un incremento del 93.6% al 97% en el nivel de exactitud del registro del inventario. El nivel del stock de los productos, se reducirá de un período de cobertura de 1.1 y 1.7 meses a 0.7 y 0.9 meses respectivamente para los dos productos.
La inversión requerida para la implementación de las mejoras es de US$ 13,885, que permitirá un beneficio neto a valor presente de 4,369 US$/mes, posibilitando que la empresa recupere dicha inversión en 3 meses aproximadamente.The present work proposes a proposal for improvement of the process of planning and production control in a metallurgical company that produces copper, zinc and lead alloys, through the implementation of the linear programming model, which will allow reducing the stock levels of products. Likewise, it formulates the improvement in the accuracy of the inventory register of the materials, through the application of the monthly physical inventory and the permanent random physical count. The problem of inconsistency between physical and theoretical stock of materials was detected, whose main causes are software with limitations, disorder and without good signage of the location of the materials in the warehouse, the frequency of the physical inventory and lack of random physical counting. A high level of depletion was detected in the productive process, due to the use of contaminated scrap metal and broken tools. The high level of stock of products is due to the current programming method. An increase of 93.6% to 97% is expected in the level of accuracy of the inventory record. The level of the stock of products, would be reduced from a coverage period of 1.1 and 1.7 months to 0.7 and 0.9 months respectively for the two products. The investment required for the implementation of the improvements is US $ 13,885, which will allow a net benefit at present value of 4,369 US $ / month, enabling the company to recover this investment in approximately 3 months.
Trabajo de investigación
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Kwan, Wai-ching Josephine. "Trend models for price movements in financial markets /." [Hong Kong] : University of Hong Kong, 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13841397.
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周煒強 and Wai-keung Chow. "The pricing of Hong Kong wattants: an empirical study of the performance of the Kassouf, Black-Scholes andconstant elasticity variance option pricing models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B31977297.
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Eadie, Edward Norman. "Small resource stock share price behaviour and prediction." Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.
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Muhlrad, Katy G. "Model-based design for full-stack robot manipulation." Thesis, Massachusetts Institute of Technology, 2019. https://hdl.handle.net/1721.1/123045.
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This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2019
Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (pages 60-65).
As robotic manipulation research becomes more prevalent, it is crucial to develop clean, modular, and testable systems for researchers to make advances in their fields of expertise without sacrificing usability for others. It is also important to introduce those methods to beginners as they are entering the field, so they can build upon them in novel research. This thesis introduces a framework, informally called the Manipulation System, built using Drake Systems based on work done for the Fall 2018 MIT class Intelligent Robot Manipulation. This thesis also presents the groundwork for performing full-stack robot manipulation tasks and proposes extensions to make the system more usable and accessible to all.
by Katy G. Muhlrad.
M. Eng.
M.Eng. Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science
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Blazejewski, Adam. "Computational Models for Stock Market Order Submissions." Engineering, 2006. http://hdl.handle.net/2123/923.
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Doctor of PhilosophyThe motivation for the research presented in this thesis stems from the recent availability of high frequency limit order book data, relative scarcity of studies employing such data, economic significance of transaction costs management, and a perceived potential of data mining for uncovering patterns and relationships not identified by the traditional top-down modelling approach. We analyse and build computational models for order submissions on the Australian Stock Exchange, an order-driven market with a public electronic limit order book. The focus of the thesis is on the trade implementation problem faced by a trader who wants to transact a buy or sell order of a certain size. We use two approaches to build our models, top-down and bottom-up. The traditional, top-down approach is applied to develop an optimal order submission plan for an order which is too large to be traded immediately without a prohibitive price impact. We present an optimisation framework and some solutions for non-stationary and non-linear price impact and price impact risk. We find that our proposed transaction costs model produces fairly good forecasts of the variance of the execution shortfall. The second, bottom-up, or data mining, approach is employed for trade sign inference, where trade sign is defined as the side which initiates both a trade and the market order that triggered the trade. We are interested in an endogenous component of the order flow, as evidenced by the predictable relationship between trade sign and the variables used to infer it. We want to discover the rules which govern the trade sign, and establish a connection between them and two empirically observed regularities in market order submissions, competition for order execution and transaction cost minimisation. To achieve the above aims we first use exploratory analysis of trade and limit order book data. In particular, we conduct unsupervised clustering with the self-organising map technique. The visualisation of the transformed data reveals that buyer-initiated and seller-initiated trades form two distinct clusters. We then propose a local non-parametric trade sign inference model based on the k-nearest-neighbour classifier. The best k-nearest-neighbour classifier constructed by us requires only three predictor variables and achieves an average out-of-sample accuracy of 71.40% (SD=4.01%)1, across all of the tested stocks. The best set of predictor variables found for the non-parametric model is subsequently used to develop a piecewise linear trade sign model. That model proves superior to the k-nearest-neighbour classifier, and achieves an average out-of-sample classification accuracy of 74.38% (SD=4.25%). The result is statistically significant, after adjusting for multiple comparisons. The overall classification performance of the piecewise linear model indicates a strong dependence between trade sign and the three predictor variables, and provides evidence for the endogenous component in the order flow. Moreover, the rules for trade sign classification derived from the structure of the piecewise linear model reflect the two regularities observed in market order submissions, competition for order execution and transaction cost minimisation, and offer new insights into the relationship between them. The obtained results confirm the applicability and relevance of data mining for the analysis and modelling of stock market order submissions.
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Blazejewski, Adam. "Computational Models for Stock Market Order Submissions." Thesis, The University of Sydney, 2005. http://hdl.handle.net/2123/923.
Full textAbstract:
The motivation for the research presented in this thesis stems from the recent availability of high frequency limit order book data, relative scarcity of studies employing such data, economic significance of transaction costs management, and a perceived potential of data mining for uncovering patterns and relationships not identified by the traditional top-down modelling approach. We analyse and build computational models for order submissions on the Australian Stock Exchange, an order-driven market with a public electronic limit order book. The focus of the thesis is on the trade implementation problem faced by a trader who wants to transact a buy or sell order of a certain size. We use two approaches to build our models, top-down and bottom-up. The traditional, top-down approach is applied to develop an optimal order submission plan for an order which is too large to be traded immediately without a prohibitive price impact. We present an optimisation framework and some solutions for non-stationary and non-linear price impact and price impact risk. We find that our proposed transaction costs model produces fairly good forecasts of the variance of the execution shortfall. The second, bottom-up, or data mining, approach is employed for trade sign inference, where trade sign is defined as the side which initiates both a trade and the market order that triggered the trade. We are interested in an endogenous component of the order flow, as evidenced by the predictable relationship between trade sign and the variables used to infer it. We want to discover the rules which govern the trade sign, and establish a connection between them and two empirically observed regularities in market order submissions, competition for order execution and transaction cost minimisation. To achieve the above aims we first use exploratory analysis of trade and limit order book data. In particular, we conduct unsupervised clustering with the self-organising map technique. The visualisation of the transformed data reveals that buyer-initiated and seller-initiated trades form two distinct clusters. We then propose a local non-parametric trade sign inference model based on the k-nearest-neighbour classifier. The best k-nearest-neighbour classifier constructed by us requires only three predictor variables and achieves an average out-of-sample accuracy of 71.40% (SD=4.01%)1, across all of the tested stocks. The best set of predictor variables found for the non-parametric model is subsequently used to develop a piecewise linear trade sign model. That model proves superior to the k-nearest-neighbour classifier, and achieves an average out-of-sample classification accuracy of 74.38% (SD=4.25%). The result is statistically significant, after adjusting for multiple comparisons. The overall classification performance of the piecewise linear model indicates a strong dependence between trade sign and the three predictor variables, and provides evidence for the endogenous component in the order flow. Moreover, the rules for trade sign classification derived from the structure of the piecewise linear model reflect the two regularities observed in market order submissions, competition for order execution and transaction cost minimisation, and offer new insights into the relationship between them. The obtained results confirm the applicability and relevance of data mining for the analysis and modelling of stock market order submissions.
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Sones, David L. "Psychological Models and the Stock of Knowledge." PDXScholar, 1992. https://pdxscholar.library.pdx.edu/open_access_etds/4743.
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The research sought to ascertain whether or not psychological ideas and notions ("psychological models") are used to explain human behavior and human characteristics in everyday life, and if so, are these psychological models similar to the schools of thought within the field of psychology? Also of interest was whether or not "statistical categories" use psychological models as a "style of thought," and if so, are psychological models part of the current American Weltanschauungen? The convenience sample consisted of 34 respondents who were taking an introductory sociology course, and 39 respondents from non-college settings. An open-ended questionnaire containing 13 questions asking for causal explanations of human behaviors and characteristics was used. Students filled out the questionnaire during a class and returned the questionnaires at the end of the class. The questionnaires that were administered in non-college settings were distributed by research assistants at their places of employment and collected within 24 hours. Over 900 causal explanations of human behaviors and human characteristics were collected. Each causal explanation was coded in terms of the basic cause or causes given in the causal explanation of the respondent. The causes given in the respondents• causal explanations were analyzed and it was determined what "kinds of causal explanations" respondents used. Five kinds of causal explanations were found to be used by the respondents. These were: 1) psychological explanations; 2) interpersonal explanations; 3) physiological explanations; 4) social structural explanations; and 5) cultural explanations. Also, there were multi-causal explanations which consisted of combinations of the 5 kinds of mono-causal explanations. From the kinds of causal explanations given by respondents a typology of the kinds of models respondents used to explain human behavior was developed. Each causal explanation given by a respondent was cla$sified in terms of the models typology. It was the "models" variable which was derived from the kinds of causal explanations that respondents gave that was the main variable in the research. The first part of the analysis assigned each respondent a "dominant model." The dominant model used by a respondent was determined by assessing what kind of model a respondent used more frequently than any other kind of model in the 13 causal explanations the respondent gave. The second part of the analysis assigned a dominant model to various statistical "categories" which were based on age, sex, or education. The dominant model of a category was determined by assessing the dominant model used for each question, then determining what kind of dominant model was used most frequently for explaining the 13 behaviors or characteristics. When examining the dominant model used by each respondent it was found that individuals in the sample tended to use a psychological model more frequently than any other kind of model when explaining human behaviors and characteristics. Additionally, when the age, or sex, or education of the respondent was considered in the analysis of the dominant model used by an individual it was found that only the individuals between 25 and 40 years of age tended not to use a psychological model as their dominant model. When examining the dominant model used by statistical categories, categories whose membership was based on age, sex, or education, it was found that categories tended to use a psychological model as their dominant model. However, the category "25 to 40 years of age" did not use a psychological model as the dominant model. Also, when the category whose membership was based on having taken psychology courses was compared in detail to the category whose membership was based on having not taken psychology courses it was found that these two categories used dominant and other models similarly.
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Nevares, Mario Maia. "Reservas internacionais ótimas de um país: um estudo do caso brasileiro." reponame:Repositório Institucional do FGV, 2007. http://hdl.handle.net/10438/330.
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Made available in DSpace on 2008-05-13T13:48:10Z (GMT). No. of bitstreams: 0
Previous issue date: 2007-05-04The objective of this paper is to analyze the foreign reserves accumulation among countries such Brazil that builds up international reserves to be protected from externai crises as well as to diminish such probability. We desire to analyze also the determination of optimal levei of reserves. We will approach brief historical of the literature of reserves holdings. In the study of Brazil, we will discuss the optimal levei of Brazilian international reserves using buffer stock model, with temporaries series approach, differing from previous cross-section studies.
O objetivo deste trabalho analisar acumulação de reservas internacionais por parte de países como Brasil, que acumulam reservas na tentativa de se proteger de crises externas bem como diminuir tal probabilidade. Desejamos analisar determinação do nível ótimo de reservas. Apresentaremos um breve histórico da literatura sobre acumulação de reservas. No estudo do Brasil, discutiremos nível ótimo de reservas internacionais brasileiras usando modelo de buffer stock, partir de uma abordagem de séries temporais, diferindo de trabalhos anteriores usando dados cross-section.
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Keskitalo, Johan. "A Comparison of Recurrent Neural Networks Models and Econometric Models for Stock Market Predictions." Thesis, Umeå universitet, Institutionen för fysik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-174921.
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It is well known that the stock market is highly volatile, so stock price prediction is a very challenging task. However, in order to make a profit or to understand the equity market, many investors and researchers use various statistical, econometric, and neural network models to make the best stock price predictions possible. In this thesis the aim is to compare the predictability of two econometric models, the exponential moving average (EMA) and auto regressive integrated moving average (ARIMA) models, and two neural network models, a simple recurrent neural network (RNN) and the long short term memory model (LSTM) model. The comparison is primarily made using the Tesla company as the underlying stock. While using mean square error (MSE) as a measure of performance, the LSTM model consistently outperformed the other three models.
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Ozdemir, Duygu. "Stock Market Liquidity Analysis: Evidence From The Istanbul Stock Exchange." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613789/index.pdf.
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The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is confirmed, while the negative effect of the volatility on liquidity appears one-week later. The behavior of various liquidity variables are also examined around the macroeconomic data announcement dates, during the 2008 financial crisis, and after the tick size change in the Istanbul Stock Exchange (ISE). The time series dynamics between the trade volume, return, volatility and the liquidity are put forward within the Vector Autoregression analysis framework. The GARCH modeling of the return series, which is an input to the liquidity model estimations, is a byproduct of this thesis. It is observed that the return series exhibits volatility clustering, persistence, leverage effects and mean reversion. In addition, while the level of the ISE market return decreased, the volatility of the return increased during the 2008 crisis. Accordingly, EGARCH model assuming normally distributed error terms and allowing a shift in the variance during the crisis period is chosen as the best model.
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Pan, Li, and 潘莉. "Mathematical modeling for warehouse logistics: stock loading and order picking." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B4784940X.
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Logistics makes extensive use of human and material resources to achieve a
target level of customer service at the lowest possible cost. It has been recognized
as a major key to success in commerce and industry, and continues to
evolve radically and grow in importance in recent years. Warehousing, as one
of the most costly elements of logistics, is often the central operation in most
logistics networks. Its successful management is critical in terms of both cost
and service. In this thesis, two problem areas in warehouse logistics are studied:
stock loading and order picking.
Stock loading is an essential operation in modern logistics. Improvement on
container capacity utilization and loading efficiency significantly reduces costs.
For a given set of boxes in different sizes and an unlimited number of identical
containers, the basic cargo loading problem is to determine the minimum
number of containers required. The problem is proven NP-hard. To tackle this
problem, a Tabu search optimization with a tree-based cargo loading algorithm
as its inner heuristic is proposed. This approach has flexibility in taking different
box conditions into consideration, and can find better solutions on average
than other recent meta- or heuristic algorithms.
Decreasing order sizes and increasing fuel costs provide a strong incentive for
the inner-city truck loading operation to utilize container space more efficiently
in transporting goods to multiple clients during one trip. This considers not
only traditional loading constraints, but also multi-drop requirements. A wallbuilding
heuristics based on a binary tree data structure is proposed to handle
these side constraints. A dynamic space decomposition approach, together with
a repacking and space amalgamation strategy, permits an efficient and effective
loading plan.
Order picking, one of the most critical warehousing operations, is the second
problem studied in this thesis. An analytical approximation model is proposed
based on probability modeling and queueing network theory applied to a synchronized
zone picker-to-part order picking system with different routing and
ABC-class inventory storage policies. The numerical results are compared and
validated via simulation. The resulting model can therefore be usefully applied
in the design and selection process of order picking systems.
The routing versus storage issues are further investigated with a simulation
model. This extends the existing research by evaluating multiple routing and
storage policies under varying operating conditions. Results show that the midpoint,
return and traversal routing policies generally perform best when paired
with perimeter, across-aisle and within-aisle storage strategies, respectively. Yet
performance is indeed dependent on demand patterns, zone sizes, batch sizes
and order sizes.
At first glance, order picking and stock loading operation seem to pursue
different objectives. However, they are two related operations conducted sequentially
from internal to the outbound side of warehousing. An efficient
order picking system is a precondition for an effective loading operation at the
shipping dock, especially when multiple orders need to be selected for consolidation
in shipment. The proposed loading algorithms and the order picking
system performance evaluation models can be used to further study the effective
integration of these two functions.published_or_final_version
Mathematics
Doctoral
Doctor of Philosophy
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董森 and Sen Dong. "Two essays on idiosyncratic volatility of stock markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2002. http://hub.hku.hk/bib/B31225937.
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Xiao, Yue. "Leveraged Lévy processes as models for stock prices." College Park, Md. : University of Maryland, 2005. http://hdl.handle.net/1903/3064.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2005.Thesis research directed by: Applied Mathematics and Scientific Computation Program. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Rossvoll, Eivind. "Asset Pricing Models and the Norwegian Stock Market." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for samfunnsøkonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-23067.
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VALENTE, DIEGO CASTELO BRANCO. "STOCHASTIC MODELS FOR THE BRAZILIAN STOCK MARKET VOLATILITY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2004. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=5850@1.
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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOA volatilidade de uma série temporal financeira é um parâmetro importante de modelagem do mercado financeiro. Ela controla a medida de risco associado à dinâmica de preços do título financeiro, afetando assim o preço racional dos derivativos. A volatilidade de um ativo financeiro é uma quantidade estatística que descreve a magnitude típica das variações de preços do ativo. Por sua vez, existe uma grande evidência empírica que a volatilidade segue também um processo estocástico subjacente ao dos preços. Nesta dissertação, investigamos a série histórica do IBOVESPA. Utilizamos diferentes metodologias para estimar a volatilidade a partir dos dados empíricos das flutuações do índice de preços. Comparamos em cada caso a função densidade de probabilidade (pdf) da volatilidade histórica diária com as previsões teóricas de vários modelos de volatilidade estocástica propostas na literatura financeira. Os modelos considerados descrevem processos estocásticos de reversão à média. As equações diferenciais estocásticas de Itô associadas possuem três parâmetros: dois parâmetros que controlam o processo de reversão à média (valor médio de longo prazo da volatilidade e taxa no tempo da reversão das flutuações para este valor médio) e um parâmetro que descreve a amplitude do processo difusivo de Wiener. As pdfs estacionárias destes modelos são obtidas através de testes de hipótese. A partir destes resultados, analisamos a validade dos modelos de volatilidade estocástica estudados na descrição dos dados empíricos do IBOVESPA.
The volatility of a financial time series is a key variable in the modeling of the financial markets. It controls the risk measure associated with the dynamics of price of a financial asset and also affects the rational price of derivative products. The volatility of a financial asset is a statistical quantity that describes the characteristic magnitude of price changes of the asset. On the other hand, there is empirical evidence that volatility itself follows a stochastic process underlined to the price process. In this thesis, we investigate the historical series of IBOVESPA. Different methodologies were used to estimate volatility from the empirical data of the fluctuation of the index of prices. In each case, we compare the probability density function (pdf) of daily historical volatility with the theoretical results from several stochastic volatility models proposed in the financial literature. The models considered here describe mean reverting stochastic processes. The associated stochastic differential Itô equations have three parameters: two parameters controlling the mean reverting process (the long run volatility mean and the time rate of reversion of the fluctuations to this mean) and one parameter describing the amplitude of a diffusive Wiener process. The stationary pdfs of the models are obtained through tests of hypothesis. From these results, we analyze the validity of the studied volatility stochastic models in describing the empirical IBOVESPA data.
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PEREIRA, SAVANO SOUSA. "DURATION AND VOLATILITY MODELS FOR STOCK MARKET DATA." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2004. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=5868@1.
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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOO presente trabalho visa generalizar a modelagem do tempo entre os negócios ocorridos no mercado financeiro, doravante chamado duração, e estudar os impactos destas duraçõoes sobre a volatilidade instântanea. O estudo foi realizado por meio do modelo linear ACD (autoregression conditional duration) proposto por Engel e Russel[3], os quais usaram a distribuição Exponencial e Weibull para as inovações, e o modelo GARCH-t para dados com alta freqüência para modelar a volatilidade instântanea, também usando a proposição de Engel e Russel[3]. A generalização faz uso da Gama Generalizada proposta em Zhang, Russel & Tsay[9] em um modelo de duração não linear conhecido como TACD (threshold autoregressive conditional duration). A justificativa para o estudo das durações com a Gama Generalizada é obter uma modelo mais flexível que o proposto por Engel e Russel[3]. Os resultados do modelo ACD com as inovações seguindo uma Gama Generalizada se mostrou mais adequado capturando a sub-dispersão dos dados. A seguir estimamos o modelo de volatilidade instantânea usando as durações estimadas como variáveis explicativas encontrando resultados compatíveis com a literatura.
This work generalizes the duration model, the time elapsed between two consecutive transactions, such as financial transactions data; and explores the consequences of durations in the instantaneous volatility. The approach have been motivated by Engel and Russel[3], that proposed an autoregressive conditional duration (ACD) model to explain the variation of volatility, where the innovations proposes were Exponential andWeibull distributions. Besides they used the GARCH-t to modeling the instantaneous volatility in high frequency data. This work uses the Generalized Gamma to the innovations in order to generalize the ACD model, this distribution has been first suggested by Zhang, Russel and Tsay[9], in the threshold ACD (TACD) framework. We justify the generalized Gamma specification in order to allow for more flexibility than the ACD model of Engel and Russel[3]. We find evidences that the ACD model with this specification was better to captur the behavior such as sub- dispersion.
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Blad, Wiktor, and Vilim Nedic. "GARCH models applied on Swedish Stock Exchange Indices." Thesis, Uppsala universitet, Statistiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-386185.
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In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. In addition to acquiring information of the expected loss, VaR was introduced in the regulatory frameworks of Basel I and II as a standardized measure of market risk. Due to necessity of measuring VaR accurately, this thesis aims to be a contribution to the research field of applying GARCH-models to financial time series in order to forecast the conditional variance and find accurate VaR-estimations. The findings in this thesis is that GARCH-models which incorporate the asymmetric effect of positive and negative returns perform better than a standard GARCH. Further on, leptokurtic distributions have been found to outperform normal distribution. In addition to various models and distributions, various rolling windows have been used to examine how the forecasts differ given window lengths.
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Luo, Xingguo, and 骆兴国. "Two essays on interest rate and volatility term structures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44921251.
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Cheung, Ming-yan William, and 張明恩. "Market microstructure of an order driven market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B3203782X.
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Bucic, Ida. "Heston vs Black Scholes stock price modelling." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-105614.
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In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. Both models are analysed and simulated, and the parameters are estimated based on empirical data of S&P 500. Results are based on simulations and characteristic functions which are presented with figures of probability density functions.
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Lam, Yue-kwong. "A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18003515.
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Poongam, Karan. "Equity premium in business cycle model in Thailand." Bangkok, Thailand : Faculty of Economics, Thammasat University, 2004. http://catalog.hathitrust.org/api/volumes/oclc/56680613.html.
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Anderson, Warwick Wyndham. "An Investigation of Dividend Signalling on the New Zealand Stock Exchange in the 1990s and of Several New Tools Employable in such an Investigation." Thesis, University of Canterbury. Accountancy, Finance and Information Systems, 2006. http://hdl.handle.net/10092/861.
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This thesis investigates the nature of joint dividend-and-earnings signalling in announcements to the New Zealand Stock Exchange in the 1990s. Initially the Market Model is used to compute expected returns, and the abnormal returns derived from these are subjected to restricted least squares regressions to separate out a putative dividend signal from the concurrent earnings signal. But with the Market Model, the zero-value company returns associated with an absence of trading in thinly traded stocks are over-represented in returns distributions leading to problems of bias. New models are developed that explicitly exploit zero returns. The first alternative methodology entails friction modelling, which uses a maximum likelihood estimation procedure to find the relationship coefficients and the range of returns that should be considered as zero, and then proceeds to treat them as a separate category. The second alternative methodology is that of state asset models, which take a fresh new look at investor perceptions of the connection between movements in company returns and those of the concurrent underlying market. Zero-value company returns cease to be zero in value, where a state model is rotated, or alternatively they can be modelled as an extra state. All three methodologies furnish some evidence of dividend signalling; but this evidence is highly dependent on small changes within the given methodology.
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Katin, Igor. "On Development and Investigation of Stock-Exchange Model." Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2014. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2014~D_20140602_082737-12589.
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A simple Stock Market Game Model (SEGM) was introduced in 2002 by J. Mockus to simulate the behavior of several stockholders trading a single stock. In contrast, the proposed model PORTFOLIO is simulating stock exchange including a number of different stocks. The objective of PORTFOLIO is not forecasting, but simulation of stock exchange processes that are affected by predictions of the participants. The main improvements are the multi-stock extension and a number of different trading rules, which represent both the heuristics of potential investors and the well-known theoretical investment strategies. This makes the model more realistic and allows the portfolio optimization in the space of investment strategies, in both the historical and virtual environments. This is an essential improvement comparing with traditional single-stock models with direct interaction of investment agents. The "virtual" stock exchange can help in testing the assumption of rational investor behavior vs. the recent theories that explain financial markets by irrational responses of major market participants. The model has been compared with actual financial time series and found the results to be close in some cases. The model is designed as a tool to represent behavior of individual investor, which wants to predict how the expected profit depends on different investment rules using different forecasting methods of real and virtual stocks.Paprastas akcijų rinkos žaidimo modelis (angl. Stock Market Game Model) buvo pristatytas J. Mockaus 2002 m. Šis modelis imituoja kelių akcininkų, prekiaujančių viena akcija, elgesį. Siūlomas modelis PORTFOLIO, priešingai, imituoja akcijų biržos darbą, kurioje vyksta prekyba su daugelio firmų akcijomis. PORTFELIO modelio tikslas yra ne prognozavimas, bet simuliavimas akcijų biržos procesų, kurie yra priklausomi nuo investuotojų prognozių. Pagrindinis modelio patobulinimas yra kelių akcijų ir įvairių prekybos taisyklių įvedimas, kurios atstovauja tiek potencialių investuotojų euristikas, tiek gerai žinomas teorines investavimo strategijas. Tai suteikia modeliui daugiau realistiškumo ir leidžia atlikti portfelio optimizavimą naudojant įvairias investavimo strategijas tiek su istoriniais duomenimis, tiek virtualioje aplinkoje. Tai esminis patobulinimas lyginant su tradiciniais vienos akcijos modeliais. "Virtuali" akcijų birža gali padėti tiriant racionalaus investuotojo elgesio prielaidą lyginant su pastarojo laikotarpio teorijomis, teigiančiomis, kad pagrindiniai rinkos dalyviai elgiasi neracionaliai. Modelis buvo lyginamas su realiomis finansinėmis laiko eilutėmis ir buvo rastas rezultatų panašumas tam tikrais atvejais. PORTFELIO modelis gali būti naudojamas kaip priemonė imituoti individualaus investuotojo elgesį, kuris nori prognozuoti, kaip tikėtinas pelnas priklauso nuo įvairių investavimo taisyklių naudojant skirtingus realių ir virtualių akcijų kainų prognozavimo metodus.
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Cunha, Ronan. "Automatic model selection for forecasting Brazilian stock returns." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13635.
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This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We nd that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.
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Tasnim, Syeda Humaira. "Porous Media Thermoacoustic Stacks: Measurements and Models." Thesis, 2011. http://hdl.handle.net/10012/6296.
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The present research analyzes random porous thermoacoustic stack systems analytically, experimentally, and numerically with a primary objective to develop a comprehensive analytical porous media modeling for random porous (such as Reticulated Vitreous Carbon (RVC) foams) environment. Mathematical models are developed for flow, thermal, and energy fields within the random porous medium stack. The Darcy and Brinkman-Forchheimer-extended Darcy models are used for modeling the momentum equation and local thermal equilibrium assumption between the porous matrix and trapped fluid in the void space for energy equation. The expressions of temperature, energy flux density, and acoustic work absorbed or produced by a thermoacoustic device are compared with existing literature and observed good agreements. After obtaining the flow and thermal fields’ information, the present study examines the entropy generation distribution within the stack. One important item revealed in this study is that entropy generation inside the porous medium completely follows the trend of the imaginary part of Rott’s first function profile. Another major contribution of this research is to identify the location of maximum entropy generation which is identical to the location of maximum thermoacoustic heat and work transport. The expression of Nusselt number for steady flow cannot be used in oscillatory random porous medium because of the phase difference between the temperature gradient at the wall and the temperature difference between the wall and the space averaged temperature.
The present research experimentally examines novel stack configuration by considering “alternating conducting and insulating materials” as stack in thermoacoustic devices. The objective of considering such stack arrangement is to reduce the conduction heat transfer loss from the hot end of the stack to the cold end, thereby increasing the performance of the stack. Eight different heterogeneous stack arrangements are studied in this research. The performance of the heterogeneous stack arrangement is compared with the typical homogeneous stacks. This research shows that heterogeneous stacks can be used in thermoacoustic devices particularly in small (millimeter) scale thermoacoustic devices.
Numerically the present study investigates the influence of working fluid, geometric, and operating conditions on stack performance by solving the full Navier-Stokes, mass, energy equation, and equation of state.
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Gambús, Ordaz Maika Karen. "A field study to assess the value of 3D post-stack seismic data in forecasting fluid production from a deepwater Gulf-of-Mexico reservoir." Thesis, 2005. http://hdl.handle.net/2152/1548.
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Gbadamosi, Hakeem B. "Geological Modeling of Dahomey and Liberian Basins." 2009. http://hdl.handle.net/1969.1/ETD-TAMU-2009-05-264.
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The objective of this thesis is to study two Basins of the Gulf of Guinea (GoG),
namely the Dahomey and the Liberian Basins. These Basins are located in the northern
part of the GoG, where oil and gas exploration has significantly increased in the last 10
years or so. We proposed geological descriptions of these two Basins. The key
characteristics of the two models are the presence of channels and pinch-outs for depths
of between 1 km and 2 km (these values are rescaled for our numerical purposes to 600-
m and 700-m depths) and normal faults below 3 km (for our numerical purposes we use
1 km instead of 3 km). We showed that these models are consistent with the plate
tectonics of the region, and the types of rocks and ages of rocks in these areas.
Furthermore, we numerically generated seismic data for these two models and
depth-migrated them. We then interpreted the migrated images under the assumption
that the geologies are unknown. The conclusions of our interpretations are that we can
see clearly the fault systems in both models. However, our results suggest that seismic
interpretations of the channels and pinch-outs associated with the geology of the Dahomey and Liberian Basins will generally be difficult to identify. In these particular
cases, we missed a number of channels and pinch-outs in our interpretations. The limited
resolution of seismic images is the key reason for this misinterpretation.
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Hurst, Simon R. "On the stochastic dynamics of stock market volatility." Phd thesis, 1997. http://hdl.handle.net/1885/145358.
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Li, Yihan. "GARCH models for forecasting volatilities of three major stock indexes : using both frequentist and Bayesian approach." 2013. http://liblink.bsu.edu/uhtbin/catkey/1712468.
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Forecasting volatility with precision in financial market is very important. This paper examines the use of various forms of GARCH models for forecasting volatility. Three financial data sets from Japan (NIKKEI 225 index), the United States (Standard & Poor 500) and Germany (DAX index) are considered. A number of GARCH models, such as EGARCH, IGARCH, TGARCH, PGARCH and QGARCH models with normal distribution and student’s t distribution are used to fit the data sets and to forecast volatility. The Maximum Likelihood method and the Bayesian
approach are used to estimate the parameters in the family of the GARCH models. The results show that the QGARCH model under student’s t distribution is the precise model for the NIKKEI 225 index in terms of fitting the data and forecasting volatility. The TGARCH under the student’s t distribution fits the S&P 500 index data better while the traditional GARCH model under the same distribution performs better in forecasting volatility. The PGARCH with student’s t distribution is the precise model for the DAX index in terms of fitting the data and forecasting volatility.Department of Mathematical Sciences
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Chao, Wei-Sheng, and 趙偉勝. "Using genetic algorithm integrated state space model to build stock forecasting models." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/25683230279786288250.
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碩士國立臺北大學
企業管理學系
90
This research combined the technic of statistic and artificial intelligence to find if there is the characteristic of predictability or not in Taiwan Weighted Stock Index. The purposes of this paper are listed below:1. By integrating the searching ability of genetic algorithm (GA) into the State Space Model and then building reasonable Statistics frameworks, this research tried to find the nonlinear function of short-term stock behavior.2. By comparing the models built in this research with the buy-and-hold strategy, we can know whose performance is better.3. For testing the models of this research, we compared the performance of the model built in this research and the performance of the time series model.One of the most significant characteristic of genetic algorithm is its massive parallel optimizing ability. The 17 kinds of technical indexes was calculated with the information of prices and volumes and would be chosen automatically by GA. Then we used two-stepwised method to integrate GA into State Space Model. Two of the main results of this research are listed below: 1. The technical indexes used in this research are 163 kinds of varieties, and each chromosome has ten of these. Thus the search space is , about 2.753064116×1015. For the practical purpose, the amount of chromosome and generation was chosen and restricted by a reasonable time frame and the data processing ability in this research. The forecasting ability might improve further if a company or an organization has higher data processing ability.2. Because the characteristic of GA, the forecasting models will not be the same every time. Through many times of in-sample and out-sample testing, this research can stably make profits in a long term. The result of this research shall be valid.